Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0130 |
| Annualized Std Dev | 0.2383 |
| Annualized Sharpe (Rf=0%) | 0.0545 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3568.0000 |
| NAs | 1.0000 |
| Minimum | -0.1082 |
| Quartile 1 | -0.0058 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0068 |
| Maximum | 0.1941 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0150 |
| Skewness | 0.3328 |
| Kurtosis | 18.2173 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0108 |
| Gain Deviation | 0.0111 |
| Loss Deviation | 0.0121 |
| Downside Deviation (MAR=210%) | 0.0153 |
| Downside Deviation (Rf=0%) | 0.0107 |
| Downside Deviation (0%) | 0.0107 |
| Maximum Drawdown | 0.6239 |
| Historical VaR (95%) | -0.0222 |
| Historical ES (95%) | -0.0367 |
| Modified VaR (95%) | -0.0176 |
| Modified ES (95%) | -0.0176 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | NA | -0.6239 | 3369 | 339 | NA |
| 2007-07-16 | 2007-08-16 | 2007-10-01 | -0.1272 | 55 | 24 | 31 |
| 2007-02-27 | 2007-03-05 | 2007-04-03 | -0.0791 | 26 | 5 | 21 |
| 2007-06-05 | 2007-06-12 | 2007-06-19 | -0.0373 | 11 | 6 | 5 |
| 2007-10-15 | 2007-10-22 | 2007-10-26 | -0.0331 | 10 | 6 | 4 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | 0.7 | -0.9 | -0.2 | -0.3 | 0.8 | 0.7 | -1 | 2.4 | 1.5 | -2.4 | 1 | -0.8 | 1.2 |
| 2008 | 1.8 | -2.9 | 2.7 | 0.9 | 0.4 | -0.7 | -1.3 | -0.4 | -0.4 | -0.5 | -6.4 | 1.4 | -5.6 |
| 2009 | -1.1 | -1.3 | 2.9 | 2 | 2.7 | 1.7 | 0.8 | -2.1 | -2.8 | -3.4 | 2.8 | -0.4 | 1.5 |
| 2010 | 1.3 | 1.1 | 1.8 | -1.2 | -1.6 | 0.9 | -0.1 | 3.3 | 1 | 0.2 | 2.7 | 0.5 | 10.2 |
| 2011 | 2 | -1.2 | 0.9 | 0.4 | -2.3 | 1 | -0.7 | -0.6 | -3.1 | -3.1 | -0.5 | 0.2 | -6.9 |
| 2012 | 1.6 | 0.9 | 0.6 | 0.5 | -2.4 | 3.5 | 0 | 0.9 | 0.7 | 0.9 | 0.1 | 1.2 | 8.9 |
| 2013 | 0.8 | 0 | -1.2 | -0.8 | -1.9 | 0.6 | 1.2 | -0.6 | 0.6 | -0.4 | 0.3 | 0.6 | -0.8 |
| 2014 | -1.3 | 0.3 | 0.6 | 0.3 | -0.4 | 0.7 | -0.4 | 0 | -1.3 | 1.4 | -0.3 | -0.2 | -0.7 |
| 2015 | -1.7 | 0 | 0.6 | 0.7 | -0.5 | 0.4 | 0.6 | -3.3 | 0.5 | -0.3 | 1.1 | -1 | -2.8 |
| 2016 | -0.3 | 2.7 | -0.9 | -0.3 | -0.1 | 0.4 | -0.5 | 0.7 | 0.6 | -0.4 | -0.4 | 0.1 | 1.5 |
| 2017 | 0.3 | 1.1 | -0.2 | 0.4 | 0.6 | 0.1 | 0.5 | 0.3 | 0.7 | 0.3 | -0.4 | 0.2 | 3.9 |
| 2018 | 0 | -1 | 1 | -0.3 | -0.5 | 0.9 | -0.5 | -0.4 | 0.2 | 1.7 | -0.2 | 0.1 | 1 |
| 2019 | -0.1 | 0.3 | 1.2 | -0.6 | -0.6 | 0.7 | -0.7 | 0.6 | -0.7 | 1 | -0.8 | 0.4 | 0.5 |
| 2020 | -1.7 | -0.6 | -4.2 | -2.5 | 1 | 0.4 | -1.5 | 0.4 | 0.6 | -0.8 | 2.3 | -0.6 | -7 |
| 2021 | 1.7 | 2 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-01-17 24.3 SPY 143. 0.0004 0.0138 0.0081 0.0468 0.111 0.260 0.252 GLD 62.6 0.0108 0.0294
2 2007-01-18 24.3 SPY 143. -0.0034 0.0071 -0.0041 0.0417 0.111 0.253 0.238 GLD 62.3 -0.0061 0.0276
3 2007-01-19 24.5 SPY 143. 0.002 0.0046 0.0034 0.047 0.117 0.250 0.266 GLD 63 0.0119 0.0391
4 2007-01-22 24.5 SPY 142. -0.0031 -0.006 0.003 0.0424 0.110 0.247 0.253 GLD 62.7 -0.0044 0.0088
5 2007-01-23 24.7 SPY 143. 0.00290 -0.0011 0.0041 0.0438 0.134 0.241 0.262 GLD 64.2 0.0241 0.0365
6 2007-01-24 24.8 SPY 144. 0.0081 0.0065 0.0127 0.052 0.139 0.254 0.281 GLD 64.3 0.0016 0.027
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
